In the last years, we have witnessed remarkable advances in targeted therapies for cancer patients. There is a growing effort to either replace or reduce the dose of unspecific, systemic (chemo)therapies, given the associated short- and long-term side effects, by introducing more specific targeted therapies as single or combination agents. Due to the well-known implications of the immune system and epigenetic landscape in modulating cancer development, both have been explored as potential targets in several malignancies, including those affecting the genitourinary tract. As the immune system function is also epigenetically regulated, there is rationale for combining both strategies. However, this is still rather underexplored, namely in urological tumors. We aim to briefly review the use of immune therapies in prostate, kidney, bladder, and testicular cancer, and further describe studies providing supporting evidence on their combination with epigenetic-based therapies.